losses {qrmdata}

Loss Datasets

Description

Danish fire insurance claims in 1M DKK in Denmark from 1980-01-03 to 1990-12-31. Largest 1% of simulated losses of Norwegian bank DNB.

Usage

data("fire")
data("DNB")

Format

fire:

univariate xts object with 2167 observations.

DNB:

(25000, 3)-matrix containing the largest 1% of simulated (market risk, credit risk, asset risk) losses of DNB; see Aas and Puccetti (2014, Section 2).

Author(s)

Marius Hofert

Source

fire:

Originally Mette Rytgaard (Copenhagen Re).

DNB:

Originally Kjersti Aas and Giovanni Puccetti.

References

Aas, K. and Puccetti, G. (2014). Bounds for total economic capital: the DNB case study. Extremes 17(4), 693–715.

Examples

library(xts)
## Danish fire losses
data("fire")
str(fire)
stopifnot(inherits(fire, "xts"), length(fire) == 2167)
plot.zoo(fire, ylab = "Fire insurance claim")

## Largest 1% of simulated DNB losses
data("DNB")
stopifnot(dim(DNB) == c(25000, 3))